The dynamics of individual financial portfolio decisions
Laura Marzorati PGAM Economic Research & Guglielmo Weber, University of Padua
The paper investigates portfolio ownership dynamics for the period 2003-06 on a panel of Italian banked individuals. We distinguish between bonds and equity and then between those assets held directly by the customer and those owned through managed instruments: i.e. mutual funds, unit linked insurance policies or segregate accounts.
We find that, after controlling for unobserved heterogeneity, the probability of holding risky financial investments strongly depends on past ownership of the same kind of asset. We also evidence a positive and strong cross-effect among complementary assets: ownership of equity (bond) in previous year increases the probability of holding bonds (equities) today, and similarly for managed and unmanaged assets. We then investigate the determinants of asset portfolio share, once the participation decision is taken.
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